A Gaussian approach for continuous time models of the short-term interest rate
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Citations
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Cited by:
- Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
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- Chang, Yoosoon, 2004. "Taking a New Contour: A Novel Approach to Panel Unit Root Tests," Working Papers 2004-05, Rice University, Department of Economics.
- Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
- Roberto Baviera & Tommaso Santagostino Baldi, 2017. "Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market," Papers 1706.07021, arXiv.org.
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More about this item
Keywords
Gaussian Estimation; Continuous Time Models; Stochastic Differential Equation; Nonlinear Diffusion; Short-term Interest Rate; Normalizing Transformation; Maximum Likelihood; Level Effect.;Statistics
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